| Metric | SPY Buy&Hold | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 63.0% |
| Cumulative Return | 15.15% | 8.12% |
| CAGR﹪ | 22.1% | 11.68% |
| Sharpe | 0.14 | 0.09 |
| Prob. Sharpe Ratio | 97.04% | 89.97% |
| Smart Sharpe | 0.13 | 0.09 |
| Sortino | 0.19 | 0.13 |
| Smart Sortino | 0.19 | 0.13 |
| Sortino/√2 | 0.14 | 0.09 |
| Smart Sortino/√2 | 0.14 | 0.09 |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -5.82% | -5.35% |
| Longest DD Days | 48 | 70 |
| Volatility (ann.) | 0.54% | 0.44% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 3.8 | 2.19 |
| Skew | -0.0 | -1.8 |
| Kurtosis | 246.1 | 409.34 |
| Expected Daily | 0.0% | 0.0% |
| Expected Monthly | 2.38% | 1.31% |
| Expected Yearly | 15.15% | 8.12% |
| Kelly Criterion | 1.72% | 1.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.06% | -0.05% |
| Expected Shortfall (cVaR) | -0.06% | -0.05% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 13 | 12 |
| Gain/Pain Ratio | 0.59 | 0.34 |
| Gain/Pain (1M) | 3.62 | 2.3 |
| Payoff Ratio | 0.98 | 0.98 |
| Profit Factor | 1.03 | 1.03 |
| Common Sense Ratio | 0.99 | 1.01 |
| CPC Index | 0.52 | 0.51 |
| Tail Ratio | 0.96 | 0.98 |
| Outlier Win Ratio | 3.67 | 7.26 |
| Outlier Loss Ratio | 3.52 | 3.48 |
| MTD | 3.54% | 2.82% |
| 3M | 4.4% | 1.19% |
| 6M | 15.15% | 8.12% |
| YTD | 15.15% | 8.12% |
| 1Y | 15.15% | 8.12% |
| 3Y (ann.) | 22.1% | 11.68% |
| 5Y (ann.) | 22.1% | 11.68% |
| 10Y (ann.) | 22.1% | 11.68% |
| All-time (ann.) | 22.1% | 11.68% |
| Best Day | 1.27% | 1.14% |
| Worst Day | -1.34% | -1.34% |
| Best Month | 5.31% | 3.25% |
| Worst Month | -3.98% | -3.48% |
| Best Year | 15.15% | 8.12% |
| Worst Year | 15.15% | 8.12% |
| Avg. Drawdown | -0.15% | -0.16% |
| Avg. Drawdown Days | 1 | 2 |
| Recovery Factor | 2.47 | 1.5 |
| Ulcer Index | 0.02 | 0.02 |
| Serenity Index | 0.1 | 0.04 |
| Avg. Up Month | 3.71% | 2.3% |
| Avg. Down Month | -3.98% | -3.48% |
| Win Days | 51.47% | 51.24% |
| Win Month | 83.33% | 83.33% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.66 |
| Alpha | - | -0.0 |
| Correlation | - | 81.53% |
| Treynor Ratio | - | 12.21% |
| Year | SPY Buy&Hold | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 15.15 | 8.12 | 0.54 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-04 | 2024-06-12 | -5.35 | 70 |
| 2024-02-12 | 2024-02-22 | -1.95 | 11 |
| 2024-03-08 | 2024-03-13 | -1.60 | 6 |
| 2024-03-21 | 2024-04-03 | -1.42 | 13 |
| 2024-01-24 | 2024-02-01 | -1.39 | 9 |
| 2024-03-04 | 2024-03-07 | -1.37 | 3 |
| 2024-02-02 | 2024-02-06 | -1.22 | 5 |
| 2024-06-28 | 2024-06-28 | -1.03 | 1 |
| 2024-02-23 | 2024-02-29 | -1.01 | 7 |
| 2024-01-02 | 2024-01-08 | -0.97 | 7 |